Do intraday data contain more information for volatility forecasting? Evidence from the Chinese commodity futures market

Ying Jiang, Xiaoquan Liu and Wuyi Ye

Applied Economics Letters, 2015, vol. 22, issue 3, 218-222

Abstract: We compare volatility forecasts using daily data and intraday data at different frequencies from the Chinese commodity futures market. Focusing on aluminium, copper and fuel oil futures contracts with 3 months to maturity, our empirical results suggest that in the out-of-sample forecasting tests, there is little informational advantage in generating volatility forecasts using intraday data.

Date: 2015
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DOI: 10.1080/13504851.2014.934425

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